def send_order(
self,
strategy: CtaTemplate,
direction: Direction,
offset: Offset,
price: float,
volume: float,
stop: bool,
lock: bool
):
"""
"""
contract = self.main_engine.get_contract(strategy.vt_symbol)
if not contract:
self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy)
return ""
# Round order price and volume to nearest incremental value
price = round_to(price, contract.pricetick)
volume = round_to(volume, contract.min_volume)
if stop:
if contract.stop_supported:
return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock)
else:
return self.send_local_stop_order(strategy, direction, offset, price, volume, lock)
else:
return self.send_limit_order(strategy, contract, direction, offset, price, volume, lock)
def calculate_price(self):
""""""
self.clear_price()
# Go through all legs to calculate price
for n, leg in enumerate(self.legs.values()):
# Filter not all leg price data has been received
if not leg.bid_volume or not leg.ask_volume:
self.clear_price()
return
# Calculate price
price_multiplier = self.price_multipliers[leg.vt_symbol]
if price_multiplier > 0:
self.bid_price += leg.bid_price * price_multiplier
self.ask_price += leg.ask_price * price_multiplier
else:
self.bid_price += leg.ask_price * price_multiplier
self.ask_price += leg.bid_price * price_multiplier
# Round price to pricetick
if self.pricetick:
self.bid_price = round_to(self.bid_price, self.pricetick)
self.ask_price = round_to(self.ask_price, self.pricetick)
# Calculate volume
trading_multiplier = self.trading_multipliers[leg.vt_symbol]
inverse_contract = self.inverse_contracts[leg.vt_symbol]
if not inverse_contract:
leg_bid_volume = leg.bid_volume
leg_ask_volume = leg.ask_volume
else:
leg_bid_volume = calculate_inverse_volume(
leg.bid_volume, leg.bid_price, leg.size)
leg_ask_volume = calculate_inverse_volume(
leg.ask_volume, leg.ask_price, leg.size)
if trading_multiplier > 0:
adjusted_bid_volume = floor_to(
leg_bid_volume / trading_multiplier, self.min_volume)
adjusted_ask_volume = floor_to(
leg_ask_volume / trading_multiplier, self.min_volume)
else:
adjusted_bid_volume = floor_to(
leg_ask_volume / abs(trading_multiplier), self.min_volume)
adjusted_ask_volume = floor_to(
leg_bid_volume / abs(trading_multiplier), self.min_volume)
# For the first leg, just initialize
if not n:
self.bid_volume = adjusted_bid_volume
self.ask_volume = adjusted_ask_volume
# For following legs, use min value of each leg quoting volume
else:
self.bid_volume = min(self.bid_volume, adjusted_bid_volume)
self.ask_volume = min(self.ask_volume, adjusted_ask_volume)
# Update calculate time
self.datetime = datetime.now()
def send_order(
self,
strategy: StrategyTemplate,
vt_symbol: str,
direction: Direction,
offset: Offset,
price: float,
volume: float,
lock: bool
):
"""
Send a new order to server.
"""
contract: ContractData = self.main_engine.get_contract(vt_symbol)
if not contract:
self.write_log(f"委托失败，找不到合约：{vt_symbol}", strategy)
return ""
# Round order price and volume to nearest incremental value
price = round_to(price, contract.pricetick)
volume = round_to(volume, contract.min_volume)
# Create request and send order.
original_req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=OrderType.LIMIT,
price=price,
volume=volume,
reference=f"{APP_NAME}_{strategy.strategy_name}"
)
# Convert with offset converter
req_list = self.offset_converter.convert_order_request(original_req, lock)
# Send Orders
vt_orderids = []
for req in req_list:
req.reference = strategy.strategy_name # Add strategy name as order reference
vt_orderid = self.main_engine.send_order(
req, contract.gateway_name)
# Check if sending order successful
if not vt_orderid:
continue
vt_orderids.append(vt_orderid)
self.offset_converter.update_order_request(req, vt_orderid)
# Save relationship between orderid and strategy.
self.orderid_strategy_map[vt_orderid] = strategy
return vt_orderids
def calculate_traded_price(self):
""""""
self.traded_price = 0
spread = self.spread
# Basic spread
if not isinstance(spread, AdvancedSpreadData):
for leg in spread.legs.values():
# If any leg is not traded yet, set spread trade price to 0
leg_traded = self.leg_traded[leg.vt_symbol]
if not leg_traded:
self.traded_price = 0
break
leg_cost = self.leg_cost[leg.vt_symbol]
leg_price = leg_cost / leg_traded
price_multiplier = spread.price_multipliers[leg.vt_symbol]
self.traded_price += leg_price * price_multiplier
self.traded_price = round_to(self.traded_price, spread.pricetick)
# Advanced spread
else:
data = {}
for variable, vt_symbol in spread.variable_symbols.items():
leg = spread.legs[vt_symbol]
trading_multiplier = spread.trading_multipliers[leg.vt_symbol]
# Use last price for non-trading leg (trading multiplier is 0)
if not trading_multiplier:
data[variable] = leg.tick.last_price
else:
# If any leg is not traded yet, clear data dict to set traded price to 0
leg_traded = self.leg_traded[leg.vt_symbol]
if not leg_traded:
data.clear()
break
leg_cost = self.leg_cost[leg.vt_symbol]
data[variable] = leg_cost / leg_traded
if data:
self.traded_price = spread.parse_formula(
spread.price_code, data)
self.traded_price = round_to(self.traded_price,
spread.pricetick)
else:
self.traded_price = 0
def send_order(
self,
vt_symbol: str,
price: float,
volume: float,
direction: Direction,
):
""""""
# For inverse contract:
# calculate contract trading volume from coin trading volume
if self.spread.is_inverse(vt_symbol):
size = self.spread.get_leg_size(vt_symbol)
if self.offset == Offset.CLOSE:
leg = self.spread.legs[vt_symbol]
volume = volume * leg.net_pos_price / size
else:
volume = volume * price / size
# Round order volume to min_volume of contract
leg = self.spread.legs[vt_symbol]
volume = round_to(volume, leg.min_volume)
# If new order volume is 0, then check if algo finished
if not volume:
finished = self.check_algo_finished()
if finished:
self.status = Status.ALLTRADED
self.put_event()
msg = "各腿剩余数量均不足最小下单量，算法执行结束"
self.write_log(msg)
return
# Round order price to pricetick of contract
price = round_to(price, leg.pricetick)
# Otherwise send order
vt_orderids = self.algo_engine.send_order(self, vt_symbol, price,
volume, direction, self.lock)
self.leg_orders[vt_symbol].extend(vt_orderids)
msg = "发出委托[{}]，{}，{}，{}@{}".format("|".join(vt_orderids), vt_symbol,
direction.value, volume, price)
self.write_log(msg)
def send_order(self, algo: AlgoTemplate, vt_symbol: str,
direction: Direction, price: float, volume: float,
order_type: OrderType, offset: Offset):
""""""
contract = self.main_engine.get_contract(vt_symbol)
if not contract:
self.write_log(f'委托下单失败，找不到合约：{vt_symbol}', algo)
return
volume = round_to(volume, contract.min_volume)
if not volume:
return ""
req = OrderRequest(symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
type=order_type,
volume=volume,
price=price,
offset=offset,
reference=f"{APP_NAME}_{algo.algo_name}")
vt_orderid = self.main_engine.send_order(req, contract.gateway_name)
self.orderid_algo_map[vt_orderid] = algo
return vt_orderid
def send_order(self, strategy: StrategyTemplate, vt_symbol: str,
direction: Direction, offset: Offset, price: float,
volume: float, lock: bool) -> List[str]:
""""""
price = round_to(price, self.priceticks[vt_symbol])
symbol, exchange = extract_vt_symbol(vt_symbol)
self.limit_order_count += 1
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=str(self.limit_order_count),
direction=direction,
offset=offset,
price=price,
volume=volume,
status=Status.SUBMITTING,
datetime=self.datetime,
gateway_name=self.gateway_name,
)
self.active_limit_orders[order.vt_orderid] = order
self.limit_orders[order.vt_orderid] = order
return [order.vt_orderid]
def generate_rand_volume(self):
""""""
rand_volume = uniform(self.min_volume, self.max_volume)
rand_volume = round_to(rand_volume, self.volume_change)
if self.volume_change == 1:
rand_volume = int(rand_volume)
return rand_volume
def load_bar_data(spread: SpreadData,
interval: Interval,
start: datetime,
end: datetime,
pricetick: float = 0):
""""""
# Load bar data of each spread leg
leg_bars: Dict[str, Dict] = {}
for vt_symbol in spread.legs.keys():
symbol, exchange = extract_vt_symbol(vt_symbol)
bar_data: List[BarData] = database_manager.load_bar_data(
symbol, exchange, interval, start, end)
bars: Dict[datetime, BarData] = {bar.datetime: bar for bar in bar_data}
leg_bars[vt_symbol] = bars
# Calculate spread bar data
spread_bars: List[BarData] = []
for dt in bars.keys():
spread_price = 0
spread_value = 0
spread_available = True
for leg in spread.legs.values():
leg_bar = leg_bars[leg.vt_symbol].get(dt, None)
if leg_bar:
price_multiplier = spread.price_multipliers[leg.vt_symbol]
spread_price += price_multiplier * leg_bar.close_price
spread_value += abs(price_multiplier) * leg_bar.close_price
else:
spread_available = False
if spread_available:
if pricetick:
spread_price = round_to(spread_price, pricetick)
spread_bar = BarData(
symbol=spread.name,
exchange=exchange.LOCAL,
datetime=dt,
interval=interval,
open_price=spread_price,
high_price=spread_price,
low_price=spread_price,
close_price=spread_price,
gateway_name="SPREAD",
)
spread_bar.value = spread_value
spread_bars.append(spread_bar)
return spread_bars
def send_order(self, strategy: CtaTemplate, direction: Direction,
offset: Offset, price: float, volume: float, stop: bool,
lock: bool):
""""""
price = round_to(price, self.pricetick)
if stop:
vt_orderid = self.send_stop_order(direction, offset, price, volume)
else:
vt_orderid = self.send_limit_order(direction, offset, price,
volume)
return [vt_orderid]
def hedge_passive_legs(self):
"""
Send orders to hedge all passive legs.
"""
# Calcualte spread volume to hedge
active_leg = self.spread.active_leg
active_traded = self.leg_traded[active_leg.vt_symbol]
active_traded = round_to(active_traded, self.spread.min_volume)
hedge_volume = self.spread.calculate_spread_volume(
active_leg.vt_symbol, active_traded)
# Calculate passive leg target volume and do hedge
for leg in self.spread.passive_legs:
passive_traded = self.leg_traded[leg.vt_symbol]
passive_traded = round_to(passive_traded, self.spread.min_volume)
passive_target = self.spread.calculate_leg_volume(
leg.vt_symbol, hedge_volume)
leg_order_volume = passive_target - passive_traded
if leg_order_volume:
self.send_leg_order(leg.vt_symbol, leg_order_volume)
def calculate_traded_volume(self):
""""""
self.traded = 0
spread = self.spread
n = 0
for leg in spread.legs.values():
leg_traded = self.leg_traded[leg.vt_symbol]
trading_multiplier = spread.trading_multipliers[leg.vt_symbol]
if not trading_multiplier:
continue
adjusted_leg_traded = leg_traded / trading_multiplier
adjusted_leg_traded = round_to(adjusted_leg_traded,
spread.min_volume)
if adjusted_leg_traded > 0:
adjusted_leg_traded = floor_to(adjusted_leg_traded,
spread.min_volume)
else:
adjusted_leg_traded = ceil_to(adjusted_leg_traded,
spread.min_volume)
if not n:
self.traded = adjusted_leg_traded
else:
if adjusted_leg_traded > 0:
self.traded = min(self.traded, adjusted_leg_traded)
elif adjusted_leg_traded < 0:
self.traded = max(self.traded, adjusted_leg_traded)
else:
self.traded = 0
n += 1
self.traded_volume = abs(self.traded)
if self.target > 0 and self.traded >= self.target:
self.status = Status.ALLTRADED
elif self.target < 0 and self.traded <= self.target:
self.status = Status.ALLTRADED
elif not self.traded:
self.status = Status.NOTTRADED
else:
self.status = Status.PARTTRADED
def update_trade(self, trade: TradeData):
""""""
# For inverse contract:
# record coin trading volume as leg trading volume,
# not contract volume!
if self.spread.is_inverse(trade.vt_symbol):
size = self.spread.get_leg_size(trade.vt_symbol)
trade_volume = calculate_inverse_volume(trade.volume, trade.price,
size)
else:
trade_volume = trade.volume
if trade.direction == Direction.LONG:
self.leg_traded[trade.vt_symbol] += trade_volume
self.leg_cost[trade.vt_symbol] += trade_volume * trade.price
else:
self.leg_traded[trade.vt_symbol] -= trade_volume
self.leg_cost[trade.vt_symbol] -= trade_volume * trade.price
self.calculate_traded_volume()
self.calculate_traded_price()
# Sum up total traded volume of each order,
self.order_trade_volume[trade.vt_orderid] += trade.volume
# Remove order from active list if all volume traded
order = self.orders[trade.vt_orderid]
contract = self.get_contract(trade.vt_symbol)
trade_volume = round_to(self.order_trade_volume[order.vt_orderid],
contract.min_volume)
if trade_volume == order.volume:
vt_orderids = self.leg_orders[order.vt_symbol]
if order.vt_orderid in vt_orderids:
vt_orderids.remove(order.vt_orderid)
msg = "委托成交[{}]，{}，{}，{}@{}".format(trade.vt_orderid, trade.vt_symbol,
trade.direction.value,
trade.volume, trade.price)
self.write_log(msg)
self.put_event()
self.on_trade(trade)
def calculate_price(self):
""""""
self.clear_price()
# Go through all legs to calculate price
bid_data = {}
ask_data = {}
volume_inited = False
for variable, leg in self.variable_legs.items():
# Filter not all leg price data has been received
if not leg.bid_volume or not leg.ask_volume:
self.clear_price()
return
# Generate price dict for calculating spread bid/ask
variable_direction = self.variable_directions[variable]
if variable_direction > 0:
bid_data[variable] = leg.bid_price
ask_data[variable] = leg.ask_price
else:
bid_data[variable] = leg.ask_price
ask_data[variable] = leg.bid_price
# Calculate volume
trading_multiplier = self.trading_multipliers[leg.vt_symbol]
if not trading_multiplier:
continue
inverse_contract = self.inverse_contracts[leg.vt_symbol]
if not inverse_contract:
leg_bid_volume = leg.bid_volume
leg_ask_volume = leg.ask_volume
else:
leg_bid_volume = calculate_inverse_volume(
leg.bid_volume, leg.bid_price, leg.size)
leg_ask_volume = calculate_inverse_volume(
leg.ask_volume, leg.ask_price, leg.size)
if trading_multiplier > 0:
adjusted_bid_volume = floor_to(
leg_bid_volume / trading_multiplier, self.min_volume)
adjusted_ask_volume = floor_to(
leg_ask_volume / trading_multiplier, self.min_volume)
else:
adjusted_bid_volume = floor_to(
leg_ask_volume / abs(trading_multiplier), self.min_volume)
adjusted_ask_volume = floor_to(
leg_bid_volume / abs(trading_multiplier), self.min_volume)
# For the first leg, just initialize
if not volume_inited:
self.bid_volume = adjusted_bid_volume
self.ask_volume = adjusted_ask_volume
volume_inited = True
# For following legs, use min value of each leg quoting volume
else:
self.bid_volume = min(self.bid_volume, adjusted_bid_volume)
self.ask_volume = min(self.ask_volume, adjusted_ask_volume)
# Calculate spread price
self.bid_price = self.parse_formula(self.price_code, bid_data)
self.ask_price = self.parse_formula(self.price_code, ask_data)
# Round price to pricetick
if self.pricetick:
self.bid_price = round_to(self.bid_price, self.pricetick)
self.ask_price = round_to(self.ask_price, self.pricetick)
# Update calculate time
self.datetime = datetime.now()